Identification and Estimation of Average Causal Effects in Fixed Effects Logit Models

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Tác giả: Laurent Davezies, Xavier D'Haultfœuille, Louise Laage

Ngôn ngữ: eng

Ký hiệu phân loại: 330.18 Economics

Thông tin xuất bản: 2021

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Bộ sưu tập: Metadata

ID: 166886

Comment: 93 pages (online appendix starting at p.46). Major rewriting compared to v3. In particular, addition of a literature review, study of general parameters (not only the AME) in the identification, estimation and inferenceThis paper studies identification and estimation of average causal effects, such as average marginal or treatment effects, in fixed effects logit models with short panels. Relating the identified set of these effects to an extremal moment problem, we first show how to obtain sharp bounds on such effects simply, without any optimization. We also consider even simpler outer bounds, which, contrary to the sharp bounds, do not require any first-step nonparametric estimators. We build confidence intervals based on these two approaches and show their asymptotic validity. Monte Carlo simulations suggest that both approaches work well in practice, the second being typically competitive in terms of interval length. Finally, we show that our method is also useful to measure treatment effect heterogeneity.
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